Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10071/19981
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Campo DC | Valor | Idioma |
---|---|---|
dc.contributor.author | Grané, A. | - |
dc.contributor.author | Martín-Barragan, B. | - |
dc.contributor.author | Veiga, H. | - |
dc.date.accessioned | 2020-02-27T16:49:30Z | - |
dc.date.available | 2020-02-27T16:49:30Z | - |
dc.date.issued | 2019 | - |
dc.identifier.issn | 1696-2281 | - |
dc.identifier.uri | http://hdl.handle.net/10071/19981 | - |
dc.description.abstract | It is well known that outliers can affect both the estimation of parameters and volatilities when fitting a univariate GARCH-type model. Similar biases and impacts are expected to be found on correlation dynamics in the context of multivariate time series. We study the impact of outliers on the estimation of correlations when fitting multivariate GARCH models and propose a general detection algorithm based on wavelets, that can be applied to a large class of multivariate volatility models. Its effectiveness is evaluated through a Monte Carlo study before it is applied to real data. The method is both effective and reliable, since it detects very few false outliers. | eng |
dc.language.iso | eng | - |
dc.publisher | INST ESTADISTICA CATALUNYA-IDESCAT | - |
dc.relation | FQM-329 | - |
dc.relation | PGC2018-096977-B-l00 | - |
dc.relation | MTM2012-36163-C06-03 | - |
dc.relation | ECO2015-70331-C2-2-R | - |
dc.relation | MTM2014-56535-R | - |
dc.relation | UID/GES/00315/2019 | - |
dc.rights | openAccess | - |
dc.subject | Correlations | eng |
dc.subject | Multivariate GARCH models | eng |
dc.subject | Outliers | eng |
dc.subject | Wavelets | eng |
dc.title | Detecting outliers in multivariate volatility models: a wavelet procedure | eng |
dc.type | article | - |
dc.pagination | 289 - 315 | - |
dc.peerreviewed | yes | - |
dc.journal | Sort: Statistics and Operations Research Transactions | - |
dc.volume | 43 | - |
dc.number | 2 | - |
degois.publication.firstPage | 289 | - |
degois.publication.lastPage | 315 | - |
degois.publication.issue | 2 | - |
degois.publication.title | Detecting outliers in multivariate volatility models: a wavelet procedure | eng |
dc.date.updated | 2020-02-27T16:48:53Z | - |
dc.description.version | info:eu-repo/semantics/publishedVersion | - |
dc.identifier.doi | 10.2436/20.8080.02.89 | - |
dc.subject.fos | Domínio/Área Científica::Ciências Naturais::Matemáticas | por |
dc.subject.fos | Domínio/Área Científica::Ciências Sociais::Economia e Gestão | por |
dc.subject.fos | Domínio/Área Científica::Ciências Sociais::Outras Ciências Sociais | por |
iscte.identifier.ciencia | https://ciencia.iscte-iul.pt/id/ci-pub-69297 | - |
iscte.alternateIdentifiers.wos | WOS:000510397400005 | - |
iscte.alternateIdentifiers.scopus | 2-s2.0-85078701135 | - |
Aparece nas coleções: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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document.pdf | Versão Editora | 2,67 MB | Adobe PDF | Ver/Abrir |
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